Related papers: Existence of a Fundamental Solution of Partial Dif…
In this work, we present a quantum algorithm designed to solve the differential equation used in the pricing of Asian options, in the framework of the Black-Scholes model. Our approach modifies an existing quantum pre-conditioning method…
We study the copolynomials of $n$ variables, i.e. $K$-linear mappings from the ring of polynomials $K[x_1,...,x_n]$ into the commutative ring $K$. We prove an existence and uniqueness theorem for a linear differential equation of infinite…
We study a certain one dimensional, degenerate parabolic partial differential equation with a boundary condition which arises in pricing of Asian options. Due to degeneracy of the partial differential operator and the non-smooth boundary…
We show the existence and uniqueness of fundamental solution operators to Kolmo\-gorov-Fokker-Planck equations with rough (measurable) coefficients and local or integral diffusion on finite and infinite time strips. In the local case, that…
This work is devoted to the study of the obstacle problem associated to the Kolmogorov-Fokker-Planck operator with rough coefficients through a variational approach. In particular, after the introduction of a proper anisotropic Sobolev…
Parabolic integro-differential Kolmogorov equations with different space-dependent operators are considered in H\"{o}lder-type spaces defined by a scalable L\'{e}vy measure. Probabilistic representations are used to prove continuity of the…
We study the problem of existence, uniqueness and regularity of probabilistic solutions of the Cauchy problem for nonlinear stochastic partial differential equations involving operators corresponding to regular (nonsymmetric) Dirichlet…
We present closed analytical approximations for the pricing of basket options, also applicable to Asian options with discrete averaging under the Black-Scholes model with time-dependent parameters. The formulae are obtained by using a…
In this Note, we present a Calder\'on-type uniqueness theorem on the Cauchy problem of stochastic partial differential equations. To this aim, we introduce the concept of stochastic pseudo-differential operators, and establish their…
We study the solution to Kolmogorov-Feller equation and by using it provide pricing formulas of well known some options under jump-diffusion model.
This research introduces a new method for the transition from partial to ordinary differential equations that is based on the Kolmogorov superposition theorem. In this paper, we discuss the numerical implementation of the Kolmogorov theorem…
The Feynman-Kac formula implies that every suitable classical solution of a semilinear Kolmogorov partial differential equation (PDE) is also a solution of a certain stochastic fixed point equation (SFPE). In this article we study such and…
Option contracts can be valued by using the Black-Scholes equation, a partial differential equation with initial conditions. An exact solution for European style options is known. The computation time and the error need to be minimized…
We study the stochastic solution to a Cauchy problem for a degenerate parabolic equation arising from option pricing. When the diffusion coefficient of the underlying price process is locally H\"older continuous with exponent $\delta\in (0,…
We derive a closed-form solution for the price of an average price as well as an average strike geometric Asian option, by making use of the path integral formulation. Our results are compared to a numerical Monte Carlo simulation. We also…
The solution of option-pricing problems may turn out to be computationally demanding due to non-linear and path-dependent payoffs, the high dimensionality arising from multiple underlying assets, and sophisticated models of price dynamics.…
We consider the pricing problem related to payoffs that can have discontinuities of polynomial growth. The asset price dynamic is modeled within the Black and Scholes framework characterized by a stochastic volatility term driven by a…
We consider a Kolmogorov-Fokker-Planck operator of the kind studied by Lanconelli-Polidoro in [Rend. Sem. Mat. Univ. Politec. Torino 52 (1994)], where the leading coefficients $a_{ij}$, instead of being constant, are bounded measurable…
We introduce a fractional variant of the Cahn-Hilliard equation settled in a bounded domain and with a possibly singular potential. We first focus on the case of homogeneous Dirichlet boundary conditions, and show how to prove the existence…
We investigate qualitative and quantitative behavior of a solution of the mathematical model for pricing American style of perpetual put options. We assume the option price is a solution to the stationary generalized Black-Scholes equation…